The Prophet had non-Arab Companions which converted to Islam. As they were non-Arab, their first religion wouldn't have been Arabian paganism, but something like Judaism or Christianity with the exception of Salman the Persian who was a Zoroastrian.

There were also Arab Jews and Christians in Madinah which became Muslim. Some of these people became part of the Sahaba so which Sahaba were Jews and Christians before they became Muslim?

Are you looking for names, or a full list? The later would be difficult, as there's no consent about some of them. Among the former Jews, you may find Ka'ab al-Ahbar....
– SassirJun 8 '17 at 1:24

A full list of those that were full known to be a Jew or Christian before they converted to Islam?
– ArmaanJun 8 '17 at 1:28

You know that "list-question" are rather off-topic -> too broad, as I could come with 10 names, somebody else with 4 etc. We don't know all the sahaba to clearly say which one was a former jew or Christian!
– Medi1Saif♦Jun 21 '17 at 8:13

Scholars of Tafsir say that among the first Jews of medina whom accepted Islam you 'll find: Tha'alaba ibn Qais ثعلبة بن قيس , Sallam the son of the sister of Abdullah ibn Salam سلام بن أخت عبد الله بن سلام and Salamh the son of his brother سلمة بن أخيه and Yameen ibn Yameen يامين بن يامين

From Khaybar:

Aslam the black sheperd أسلم الراعي الأسود (he died before even praying one single prayer, as he imediatly joined the jihad against the Jews of Khaybar after his conversion) he was an Abessinian so it is unclear whether he really was a Jew, maybe he was Christian ...???

Other former Jews:

Jabal ibn Jawwal a-Tha'alabi جبل بن جوال الثعلبي

Zaid ibn Sa'ana (?) زيد بن سعنة (A former rabi)

Also note that Umm al-Mu'mimneen Safiyah was a former Jew from Khaybar

Former Christains

Among the Christians I found:

Simawayh al-Balqaawi (?) سيمويه البلقاوي

Note that Salman al-Farisi سلمان الفارسي has checked different faiths before he started searching for Mohammad ()!

Also note that the Prophet's concubine (at least this is the majority view) Maria al-Qibitya was a former Christian.

NOTE THIS LIST IS INCOMPLETE (also because we have differences in opinion on who's a sahabi or not about some names, but certainly because I've not even checked all names on the Wikipedia list)